Construction and sample path properties of Brownian house-moving between two curves
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Publication:6507495
arXiv2006.02726MaRDI QIDQ6507495FDOQ6507495
Authors: Kensuke Ishitani, Daisuke Hatakenaka, Keisuke Suzuki 
Abstract: This study aims to construct a stochastic process called ``Brownian house-moving, which is a Brownian bridge conditioned to stay between two curves. To construct this process, statements are prepared on the weak convergence of conditioned Brownian motions, conditioned Brownian bridges, and conditioned three-dimensional Bessel bridges. Moreover, the sample path properties of Brownian house-moving are studied as well.
Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)
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